In first place, please refer to the Cowon's Official Tech Specs web page or to the table attached to this post (as seen in JetAudio's web page), then review the FAQ list and if you still have some doubts do not hesitate to ask the community.

In case you believe some information is wrong or if you get any more details, please let me know so I could update the post accordingly.

How many J3 versions exist and what the differences are between them?
There are several J3 models which differ in the player's TV tuner compatibility, its storage capacity and its color. From the inside out:

Storage capacity: 4GB / 8GB / 16GB / 32GB.

TV tuner compatibility: DMB-TV-enabled / No DMB-TV-enabled device. The Digital Multimedia Broadcasting video and audio tuner works in Korea only. It will probably not be compatible with UK's Digital Audio Broadcasting.

Is it possible to expand the player's storage capacity in some way?
Yes. The J3 has a Micro SD slot compatible with SDHC memory cards.It takes a few seconds to read the memory card contents when booting the player up but, after that, both contents in the memory card and in the player's internal memory are integrated into one single library.
This means there is no need to choose the source where to read the music artists and songs from.
Videos are also integrated into the main video list. When using the horizontal thumbnails view, a small memory card icon is displayed on the bottom left side of the thumbail.

Where is the headphone jack located?
It is located at the bottom of the player next to the cover that gives access to the Micro SD card slot and the USB/AV connector (as seen in the iAudiophile's forum).
Unlike the Cowon S9, the 3.5mm standard jack is now located toward the player's left side instead of the middle (as seen in the Generation MP3's forum).

Does it have bluetooth?
Yes, it has bluetooth wireless technology 2.0 support for stereo headset: the A2DP (2-channel stereo) and AVRCP (remote control) profiles are implemented. The J3 allows you to listen to your music collection and audio in video files over bluetooth, but not to the FM radio. It can not be used for file transfer or network sharing either.

Does it have WiFi?
No. So far the only WiFi-enabled Cowon players are the Q5W and the W2 mobile internet device.

Does it have a built-in speaker?
Yes, there is a mono speaker in the back of the player next to the mic and reset holes.

Does it have an FM tuner?Yes, it does. However, it is not an HD tuner like the one in the Zune HD and it is not RDS-enabled (radio station names are not automatically fetched). The headphones cable serves as an antenna, so the signal strength will depend on its quality, length and position. As 4DThinker points out in his review comments, some radio stations can be tuned with low reception when no headphones are plugged in.

Does it have an accelerometer?
Yes. Some functions take advantage of the G-sensor accelerometer for auto-pivot display. Some examples where the accelerometer comes into play:

The main menu icons in the Dynamic Square UI turn according to the player's position.

Main menu texts in the Counting Text UI move from one side to the other when tilting the player.

Turning the player horizontally in the music screen shows the album list grid.

Tracks can be skipped by tilting the player.

Images are automatically rotated in the image viewer application according to the player's position.

There are both vertical and horizontal layouts for the virtual keyboard used for performing searches through the dictionary and the music collection.

The J3 also includes an accelerometer-controlled game named Hunter.

Does it have built-in games?
Sort of. A game named Hunter comes bundled with the original firmware.
On the other hand, the J3 is capable of playing flash files so you should theoretically be able to download and run internet flash games suiting J3's resolution (480x272 px), its flash requirements (Flash 7, Actionscript 2.0) and a touch interface with no buttons. Games that worked fine in the Cowon S9 should work in the J3 as well considering both players have the same resolution and flash specs.

Does it have customizable EQ settings?
Yes, of course! In addition to BBE+ and JetEffect 3.0, which consist of 35 presets and multiple sound enhancements, it also has a customizable 5 band equalizer.

Will an adaptor to suit each country's voltage and power socket be supplied in the retail package?
No, it will not. The 20-pin to USB cable is provided only.

What are the contents of the retail package?
In the US the player comes bundled with:

Stock earphones

20-pin to USB cable

Manual CD

Quick guide

In Korea it also comes with an additional 24 to 20-pin adapter. The TV-out and Line-in cables are sold separately.

Does it support TV-out?
Yes. Videos can be played on a TV using the composite output cable.

Does it support MKV video files?
According to the tech specs, the J3 is not compatible with the MKV multimedia container and it neither supports H.264 encoded video files nor any kind of 720p high definition video files.However, some S9 owners ensure they could play videos encoded in H.264 baseline profile with AAC audio almost perfectly, and others claim they could get to play some H.264 videos with MP3 audio too. Taking into consideration the similarities between the S9 and the J3, the latter might be able to play such video file formats too.What formats and bitrates can it record in?It can record from microphone, line-in and FM radio in WMA format only, but it allows you to choose between several bitrate qualitites ranging from 32 to 256 kbps.

What its screen specifications are?The J3 sports a 16.7 million color AMOLED screen. It is a 3.3'' multitouch capacitive screen with 16:9 aspect ratio and 480x272 pixel resolution. It is most likely made of Corning Gorilla Glass like in the S9.

What the hardware differences between the Cowon J3 and S9 are?The J3 has a Micro SD memory card slot, a built-in mono speaker and a multitouch screen which are not present in the S9.
Regarding their housings and looks, the J3 is a tad thinner than the S9 (9.9 vs 12.7 mm) and lacks the curved back which made the S9 comfortable to hold but hard to manipulate when laying on a flat surface. Additionally, there is a thin brushed aluminum strip below J3's screen.
Hmm, what else?

Is it possible to rewind and fast forward through one track to another?
Yes, it allows you to start rewinding or fast forwarding in one track and continue in the previous or next one.Does it have support for AAC-encoded audio files?Yes. Despite not being listed in its official specs, the J3 supports .m4a audio files encoded in AAC-LC profile.

Does it have support for DRM-protected files and subscription services such as Rhapsody to Go?No. There is no support for DRM-protected files.
I don't know what the implications for supporting subscription services are.

Does it have support for gapless playback?Gapless MP3.
???

Does it have support for ReplayGain-tagged audio files?Not sure... but I don't think so.

Does it have an audio panning feature?
Yes. A different output volume level can be set for each audio channel. There is a 20-step Audio L/R option (from -10 to 10) under System Settings for such a purpose.

Are there any limitations related to the number of files the J3 can manage?
Yes. The manual states it can recognize up to 12,000 folders and 12,000 files (8,000 music files + 4,000 others) including the memory card.

How long does it take to recharge?
According to the user guide it takes about 3.5 hours to fully charge the J3's battery using the USB port (it takes about 5 hours to fully charge the S9).

Does it have music bookmark or resume functions for audiobooks and podcasts?Yes, there is a function for adding bookmarks during playback. When a bookmark is added at a specific point while a piece of music is being played, the music can be started at the specified position. Up to 256 bookmarks can be added to the bookmarks list.
Is it possible to create playlists on-the-fly?No. There is only a function for adding files to favorites during playback. Up to 256 favorites files can be added to the favorites list.
Playlists need to be managed from a PC and transferred to the player.